Convert daily prices to monthly returns

Hi Matlab Users,

I have a time series of daily prices. I want to get prices for the first and the last trading day of a month so that I can compute monthly returns.

A_1=[C(:,1) C(:,7)]; A_1 is a matrix of dates and prices. A_M=tomonthly(A_1, 'BusDays', 1); Unfortunately, I get an error message: Undefined function 'tomonthly' for input arguments of type 'double'.

I have access to the financial toolbox and should be able to use tomonthly.

Alternatively, I could do it with the financial time series GUI but it did not import my data. I tried with an xls and a txt file. Matlab files should have the extension mat but mine only have m.

Could anyone please help me out.

Thanks a lot!

Answer 1

[Sean de Wolski]

First, tomonthly is a method of a fints object. Thus you first have to create an object of this type:

doc fints

If A_1 is a fints object, then do you have the Financial Toolbox installed?

You can check this by running:

ver

If it is installed, what is the full output of:

which -all tomonthly

[V]

Thank you Sean! I will try fints object. This was probably the mistake.

The full output of which -all tomonthly is /Applications/MATLAB_R2012a.app/toolbox/finance/ftseries/@fints/tomonthly.m % fints method